Regression modelEconometrics / time series
Zivot-Andrews Structural Break Test
The Zivot-Andrews (ZA) test is a unit root test that endogenously identifies the most likely location of a single structural break in a time series. Unlike the standard ADF test, it does not require the researcher to pre-specify when the break occurred, making it robust to data-driven regime shifts such as policy changes, financial crises, or major economic events.
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Sources
- Zivot, E., & Andrews, D. W. K. (1992). Further evidence on the great crash, the oil-price shock, and the unit-root hypothesis. Journal of Business & Economic Statistics, 10(3), 251–270. DOI: 10.1080/07350015.1992.10509904 ↗
- Perron, P. (1989). The great crash, the oil price shock, and the unit root hypothesis. Econometrica, 57(6), 1361–1401. DOI: 10.2307/1913712 ↗
Related methods
Referenced by
Augmented Dickey-Fuller unit root testBayesian ADF unit root testBayesian PP unit root testFourier ADF unit root testFourier PP unit root testFourier Zivot-Andrews testNonlinear ADF Unit Root TestNonlinear PP unit root testPanel Zivot-Andrews testPhillips-Perron unit root testRobust ADF Unit Root TestRobust PP Unit Root TestStructural Break ADF Unit Root TestStructural Break AR ModelStructural Break ARCH ModelStructural Break ARDL Bounds TestStructural break DCC-GARCHStructural Break Dynamic Panel Data ModelStructural Break EGARCHStructural Break Fixed Effects ModelStructural Break GLSStructural Break Hausman TestStructural break Johansen cointegrationStructural Break KPSS TestStructural Break MA ModelStructural Break NARDLStructural Break OLSStructural Break Quantile-on-Quantile RegressionStructural Break Random Effects ModelStructural break SVAR modelStructural Break Toda-Yamamoto CausalityStructural Break VAR ModelStructural break VECMStructural Break WLSStructural break Zivot-Andrews testTime-varying parameter Zivot-Andrews test